Simulating infinite-dimensional nonlinear diffusion bridges

arXiv:2405.18353v1 Announce Type: new
Abstract: The diffusion bridge is a type of diffusion process that conditions on hitting a specific state within a finite time period. It has broad applications in fields such as Bayesian inference, financial mathematics, control theory, and shape analysis. However, simulating the diffusion bridge for natural data can be challenging due to both the intractability of the drift term and continuous representations of the data. Although several methods are available to simulate finite-dimensional diffusion bridges, infinite-dimensional …

abstract analysis applications arxiv bayesian bayesian inference bridge control cs.lg data diffusion fields financial however inference mathematics natural process shape state stat.ml theory type